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Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization

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Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization - Guo, Xin, and Lai, Tze Leung, and Shek, Howard
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The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, ...

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Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization 2019, CRC Press, Oxford

ISBN-13: 9780367871819

Trade paperback

Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization 2016, Chapman & Hall/CRC

ISBN-13: 9781498706483

Hardcover